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Models behaving badly [[electronic resource] ] : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman
| Models behaving badly [[electronic resource] ] : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 003 |
| Soggetto topico |
Mathematical models - Social aspects
Theory (Philosophy) - Social aspects Metaphor - Social aspects |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-94469-4
1-299-31452-X 1-119-94468-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A foolish consistency -- Metaphors, models and theories -- The absolute -- The sublime -- The inadequate -- Breaking the cycle. |
| Record Nr. | UNINA-9910457852103321 |
Derman Emanuel
|
||
| Chichester, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Models behaving badly [[electronic resource] ] : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman
| Models behaving badly [[electronic resource] ] : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 003 |
| Soggetto topico |
Mathematical models - Social aspects
Theory (Philosophy) - Social aspects Metaphor - Social aspects |
| ISBN |
1-119-94469-4
1-299-31452-X 1-119-94468-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A foolish consistency -- Metaphors, models and theories -- The absolute -- The sublime -- The inadequate -- Breaking the cycle. |
| Record Nr. | UNINA-9910781847203321 |
|
Derman Emanuel
|
||
| Chichester, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Models behaving badly : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman
| Models behaving badly : why confusing illusion with reality can lead to disaster, on Wall Street and in life / / Emanuel Derman |
| Autore | Derman Emanuel |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 003 |
| Soggetto topico |
Mathematical models - Social aspects
Theory (Philosophy) - Social aspects Metaphor - Social aspects |
| ISBN |
9781119944690
1119944694 9781299314528 129931452X 9781119944683 1119944686 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A foolish consistency -- Metaphors, models and theories -- The absolute -- The sublime -- The inadequate -- Breaking the cycle. |
| Record Nr. | UNINA-9910964819003321 |
|
Derman Emanuel
|
||
| Chichester, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910135014203321 |
|
Derman Emanuel
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910822185903321 |
|
Derman Emanuel
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||